Konstantinos Spiliopoulos

Department of Mathematics and Statistics
Boston University
111 Cummington Street, Boston MA 02215

Office: MCS222
Tel: +1-617-353-5209
e-mail: kspiliop_at_math.bu.edu
to send me an email replace _at_ by @.

[ Research Interests and Curriculum Vitae | Publications | Distinctions, Awards and Grants | Invited Talks and Conferences | Seminars | Teaching | Links]

Welcome! I am an Assistant Professor at the Department of Mathematics and Statistics, Boston University. I am also affiliated with the Center for Information and Systems Engineering, Boston University and I am a junior faculty fellow at the Hariri Institute at Boston University. I completed my PhD at the Department of Mathematics, University of Maryland at College Park, advised by Professor Mark Freidlin and I was at the Division of Applied Mathematics, Brown University as a Prager Assistant Professor from 2009-2012. My undergraduate studies were in Applied Mathematics and Physics at the National Technical University of Athens in Greece. (NTUA).

Research interests:

My research lies broadly in the area of stochastic processes, applied mathematics and probability, large deviations, multiscale methods, financial mathematics, asymptotic problems for stochastic processes and partial differential equations and statistical inference for stochastic differential equations. In particular: top


  1. "Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes", (with Andrew Papanicolaou), 2017, SIAM Journal on Uncertainty Quantification, [ArXiv preprint], to appear.
  2. "Hypoelliptic multiscale Langevin diffusions: Large deviations, invariant measures and small mass asymptotics", (with Wenqing Hu), 2017, Electronic Journal of Probability, Vol. 22 (2017), paper no. 55, pp. 1-38, [ArXiv preprint]
  3. "Rare event simulation via importance sampling for linear SPDE's", (with Mickey Salins), 2017, Stochastics and Partial Differential Equations: Analysis and Computations, [ArXiv preprint], to appear.
  4. "The effect of heterogeneity on flocking behavior and systemic risk", (with Fei Fang and Yiwei Sun), 2017, Statistics and Risk Modelling, [ArXiv preprint], to appear.
  5. "Moderate deviations principle for systems of slow-fast diffusions", (with Matthew R. Morse), 2017, Asymptotic Analysis, [ArXiv preprint], to appear.
  6. "Sequential Monte Carlo for fractional Stochastic Volatility Models", (with Alexandra Chronopoulou), 2017, Quantitative Finance , [ArXiv preprint], to appear.
  7. "The pricing of contingent claims and optimal positions in asymptotically complete markets", (with Michail Anthropelos and Scott Robertson), 2017, Annals of Applied Probability, , Vol. 27, No. 3, pp. 1778-1830, [ArXiv preprint]
  8. "Indifference pricing for Contingent Claims: Large Deviations Effects", (with Scott Robertson), 2017, Mathematical Finance , [ArXiv preprint], to appear.
  9. "Markov processes with spatial delay: path space characterization, occupation time and properties", (with Mickey Salins), 2017, Stochastics and Dynamics , Vol. 17, No. 6, 1750042 (21 pages), [ArXiv preprint].
  10. "Statistical Inference for Perturbed Multiscale Dynamical Systems", (with Siragan Gailus), 2017, Stochastic Processes and their Applications , Volume 127, Issue 2, pp. 419–448, [ArXiv preprint]
  11. "Improving the convergence of reversible samplers", (with Luc Rey-Bellet), 2016, Journal of Statistical Physics , August 2016, Vol. 164, Issue 3, pp. 472-494, [ArXiv preprint].
  12. "Rare event simulation for multiscale diffusions in random environments", 2015, SIAM Multiscale Modeling and Simulation , Vol. 13, No. 4, pp. 1290--1311 [ArXiv preprint].
  13. "Escaping from an Attractor: Importance Sampling and Rest Points I", (with Paul Dupuis and Xiang Zhou), 2015, Annals of Applied Probability , Vol. 25, No. 5, pp. 2909–2958, [ArXiv preprint]
  14. "Irreversible Langevin samplers and variance reduction: a large deviation approach", (with Luc Rey-Bellet), 2015, Nonlinearity , Vol. 28, pp. 2081-2103, [ArXiv preprint]
  15. "Default Clustering in Large Pools: Large Deviations", (with Richard Sowers), 2015, SIAM Journal on Financial Mathematics , Vol. 6, (2015), pp. 86–116, [SSRN], [ArXiv preprint].
  16. "Quenched Large Deviations for Multiscale Diffusion Processes in Random Environments", 2015, Electronic Journal of Probability, Vol. 20, (2015), no. 15, pp. 1–29, [ArXiv preprint]
  17. "Variance reduction for irreversible Langevin samplers and diffusion on graphs", (with Luc Rey-Bellet), 2015, Electronic Communications in Probability, Vol. 20, (2015), no. 15, pp. 1–16, [ArXiv preprint].
  18. "Non-asymptotic performance analysis of importance sampling schemes for small noise diffusions", 2015, Journal of Applied Probability , Vol. 52, pp. 1-14, [ArXiv preprint]
  19. "Large Portfolio Asymptotics for Losses from Default", (with Kay Giesecke, Richard Sowers and Justin A. Sirignano), 2015, Mathematical Finance, Vol. 25, No. 1, (January 2015), pp. 77–114, [SSRN] ,[ArXiv preprint]
  20. "Systemic Risk and Default Clustering for Large Financial Systems", Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015, [SSRN] ,[ArXiv preprint].
  21. "Rare event simulation in the neighborhood of a rest point", (with Paul Dupuis), 2014, Winter Simulation Conference, article in pdf , (IEEE, 2014), pp. 564-573 .
  22. "Filtering the Maximum Likelihood for Multiscale Problems", (with Andrew Papanicolaou), 2014, SIAM Multiscale Modeling and Simulation , Vol. 12, No. 3, pp. 1193–1229, [ArXiv preprint].
  23. "Fluctuations Analysis for Loss from Default", (with Kay Giesecke and Justin A. Sirignano), 2014, Stochastic Processes and their Applications, Volume 124, Issue 7, pp. 2322-2362, [SSRN],[ArXiv preprint].
  24. "Scaling Limits and Exit Law for Multiscale Diffusions", (with Sergio A. Almada), 2014, Asymptotic Analysis, Volume 87, pp. 65-90, [ArXiv preprint].
  25. "Fluctuation analysis and short time asymptotics for multiple scales diffusion processes", 2014, Stochastics and Dynamics, Vol. 14, No.3, pp. 1350026 [ArXiv preprint].
  26. "Maximum likelihood estimation for small noise multiscale disffusions", (with Alexandra Chronopoulou), 2013, Statistical Inference for Stochastic Processes,Volume 16, Issue 3, pp. 237-266, [ArXiv preprint]
  27. "Large Deviations and Importance Sampling for Systems of Slow-Fast Motion", 2013, Applied Mathematics and Optimization, Vol. 67, pp. 123–161, [ArXiv preprint]
  28. "Default Clustering in Large Portfolios: Typical Events", (with Kay Giesecke and Richard Sowers), 2013, Annals of Applied Probability, Volume 23, Number 1, pp. 348-385, [SSRN], [ArXiv preprint].
  29. "Importance Sampling for Multiscale Diffusions", (with Paul Dupuis and Hui Wang), 2012, SIAM Multiscale Modeling and Simulation , Vol. 12, No. 1, pp. 1-27, [ArXiv preprint].
  30. "Large Deviations for Multiscale Diffusions via Weak Convergence Methods", (with Paul Dupuis), 2012, Stochastic Processes and Their Applications, 122, pp. 1947-1987, [ArXiv preprint].
  31. "Large Deviations Principle for a Large Class of One-Dimensional Homogeneous Strong Markov Processes", 2012, Journal of Theoretical Probability, Volume 25, Issue 4, pp. 925-949, [ArXiv preprint]
  32. "Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis", (with Richard Sowers), 2011, Stochastic Processes and Their Applications, Volume 121, Issue 12, pp. 2861- 2898, [SSRN] ,[ArXiv preprint].
  33. "Rare Event Simulation in Rough Energy Landscapes", (with Paul Dupuis and Hui Wang), 2011, Winter Simulation Conference, article in pdf , (IEEE, 2011), pp. 504–515.
  34. "Wiener Process with Reflection in Nonsmooth Narrow Tubes", 2009, Electronic Journal of Probability, Vol. 14, Paper no. 69, pp. 2011-2037 article in pdf
  35. "Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General Levy Process", 2009, Annales de l'I.S.U.P., Volume 53 - Fascicule 2-3, pp. 3-19 [ArXiv preprint]
  36. "Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains", (with Mark Freidlin), 2008, Asymptotic Analysis, Volume 59, Number 3-4, pp.227-249 article in pdf
  37. "A note on the Smoluchowski- Kramers approximation for the Langevin equation with reflection", 2007, Stochastics and Dynamics, Vol. 7, No. 2, pp. 141-153 : article in pdf

Submitted papers:

  1. "Multiscale integrators for stochastic differential equations and irreversible Langevin samplers", (with Jianfeng Lu), 2016, [ArXiv preprint], submitted.
  2. "Stochastic gradient descent in continuous time", (with Justin Sirignano), 2016, [ArXiv preprint], submitted.
  3. "Selection of quasi-stationary states in the Navier-Stokes equation on the torus", (with Margaret Beck and Eric Cooper), 2017, [ArXiv preprint], submitted.
  4. "Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets", (with Michela Ottobre and Natesh S. Pillai), 2017, [ArXiv preprint], submitted.

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The more I study, the more I know. The more I know, the more I forget. The more I forget, the less I know... So why I study?